This is kind of embarrassing, but I have all of Apple's metal bands (space black Milanese loop, space black link bracelet, stainless steel Milanese loop, and stainless steel link bracelet). Actually, now there's a gold-colored Milanese loop, isn't there? I don't have that, so I guess I can't say I own them all anymore
I used the space black Milanese loop 99% of the time for a bit over a year, I'd say. No problems with it. I always had the thought to clean it, figuring that there must be dirt that builds up in the patterning, but never did... and I didn't have any issues. I also wear my Apple Watch to sleep, so the band is on my wrist for probably 20-22 hours of each day. No issues, and no scratches. I tend to fold the magnetic part back onto the main band even when not in use, so it's never able to wrap around and touch the screen. Not sure if it scratches the back of the Watch; I've never noticed it, but never went at it with a magnifying glass. And while I've read reports of the magnet becoming less effective over time, I don't have any issues with that, either.
Since you asked about the link bracelet, I only used it on occasion because in warmer climates I found it uncomfortable to wear. It either felt too loose in air conditioned places or too tight in warm, humid conditions; it was impossible for me to find a happy medium. (With the Milanese loop I was able to keep making small adjustments throughout the day, which may sound like a pain but I often did it without thinking about it... and it was always at the perfect level of tightness.) I'm in a cooler place for a few months and have brought out the space black link bracelet and find it much more comfortable to wear, and don't have the issues of feeling that it's too tight or too loose. No issues with wear and tear, whenever I think I see a blemish it comes off if I rub at it a little bit. The space black link bracelet has the same diamond-like coating as the other space black stainless steel accessories, so supposedly it's almost scratch-proof. By comparison, I do have a few small scratches on my stainless steel link bracelet - not enough to be overly noticeable but I can find them without having to look too hard, so the coating is definitely making a difference. The only downside is that the space black link bracelet, perhaps because of the color and shininess, has been mistaken as being plastic by others in certain types of lighting. Having the most expensive band Apple offers mistaken for some cheap plastic thing isn't exactly flatting to Apple
so if you want something that is obviously metal to everyone who sees it, regardless of the lighting, the space black link bracelet may not be the one to choose.
Lastly, no issues with skin irritation with any of them - and I have pretty sensitive skin. But your own skin and body are different, so there's the usual disclaimer attached with that observation.
Addendum: I forgot to address the stainless steel Milanese loop with dark Watch question. I use a grey aluminum Watch, so technically none of these bands match the Watch perfectly... but I have no qualms about using a stainless steel band with my Watch. Yes, the space black ones match a little better, but the band is really the dominating force on your wrist; the Watch is just a sliver to onlookers (and you generally only see the screen of it, so the mismatch shouldn't bother you). I've never had my own senses offended when I see someone using a Watch where the colors or materials of the Watch and band don't match up, either. Nothing wrong with mixing up the colors a bit, and while it sounds like it could be bad, it's really fine.